Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 4 | 5 | 5 |
| Score | 4.04 | 8.15 | 6 |
| Market Cap (Millions USD) | 11207.73 | 11379.54 | 11157.85 |
| Predicted Beta | 0.59 | 0.57 | 0.58 |
| Idiosyncratic Volatility | 2.16 | 2 | 2.92 |
Annualized return and volatility
| XLU | |
|---|---|
| Annualized Return | 0.0802 |
| Annualized Std Dev | 0.1816 |
| Annualized Sharpe (Rf=0%) | 0.4419 |
Row
Daily Return Statistics
| XLU | |
|---|---|
| Observations | 5112.0000 |
| NAs | 2.0000 |
| Minimum | -0.0853 |
| Quartile 1 | -0.0050 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0063 |
| Maximum | 0.1207 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0001 |
| Stdev | 0.0114 |
| Skewness | 0.2291 |
| Kurtosis | 10.1857 |
Downside Risk
| XLU | |
|---|---|
| Semi Deviation | 0.0082 |
| Gain Deviation | 0.0081 |
| Loss Deviation | 0.0086 |
| Downside Deviation (MAR=210%) | 0.0130 |
| Downside Deviation (Rf=0%) | 0.0080 |
| Downside Deviation (0%) | 0.0080 |
| Maximum Drawdown | 0.5227 |
| Historical VaR (95%) | -0.0175 |
| Historical ES (95%) | -0.0269 |
| Modified VaR (95%) | -0.0153 |
| Modified ES (95%) | -0.0153 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2000-12-14 | 2002-10-09 | 2005-02-14 | -0.5227 | 1065 | 462 | 603 |
| 2007-12-11 | 2009-03-09 | 2012-06-14 | -0.4648 | 1155 | 320 | 835 |
| 2000-01-24 | 2000-02-25 | 2000-04-06 | -0.1592 | 54 | 24 | 30 |
| 2015-01-30 | 2015-09-04 | 2016-03-08 | -0.1569 | 283 | 155 | 128 |
| 2017-11-15 | 2018-02-08 | 2018-10-24 | -0.1559 | 241 | 59 | 182 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | XLU | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | -0.7 | 4.4 | 0.0 | 0.0 | 0.7 | 0.0 | 2.2 | 1.2 | 0.0 | -0.6 | -1.9 | 0.0 | 5.2 |
| 2001 | 1.2 | -1.1 | 0.0 | 0.9 | -0.8 | 0.0 | 1.2 | 0.0 | 0.9 | 0.8 | 0.0 | 0.0 | 3.1 |
| 2002 | 0.2 | 2.2 | -1.0 | 0.9 | 0.0 | -2.1 | -1.5 | 0.0 | 1.6 | 0.5 | 0.0 | 0.0 | 0.8 |
| 2003 | 0.0 | 0.0 | 0.7 | -1.4 | 0.0 | -0.7 | -0.4 | 0.0 | 0.1 | 0.0 | 0.3 | 0.0 | -1.4 |
| 2004 | 0.0 | 0.5 | 0.3 | 0.0 | -0.1 | -1.2 | 0.0 | -0.3 | 0.8 | 0.8 | -0.9 | 0.0 | -0.1 |
| 2005 | 0.7 | 0.3 | 0.3 | 0.0 | 1.3 | 0.9 | -1.3 | 1.6 | 0.0 | -2.0 | 0.4 | 0.0 | 2.1 |
| 2006 | 0.3 | -0.3 | 0.0 | -0.9 | 1.0 | 0.0 | 1.2 | 0.1 | 0.0 | 0.6 | -0.1 | 0.0 | 2.0 |
| 2007 | 0.8 | 0.3 | 0.0 | 0.8 | -0.5 | 0.0 | 2.3 | 0.0 | 1.4 | -2.0 | 0.0 | 0.0 | 3.0 |
| 2008 | 2.6 | 0.0 | 2.6 | 1.2 | 0.0 | 0.5 | -2.9 | 0.0 | -0.4 | 0.0 | -6.6 | 0.0 | -3.3 |
| 2009 | 0.0 | 0.0 | 0.4 | 2.6 | 3.2 | 1.3 | 0.0 | -0.8 | -1.7 | 0.0 | 1.9 | 0.0 | 7.0 |
| 2010 | 0.6 | 1.4 | 1.4 | 0.0 | -2.3 | -0.5 | 0.0 | 2.2 | 0.5 | -1.0 | 1.2 | 0.0 | 3.6 |
| 2011 | 1.0 | -1.0 | 0.8 | 0.0 | -1.0 | 1.2 | 0.3 | -0.6 | 0.0 | -2.1 | -0.3 | 0.0 | -1.8 |
| 2012 | 0.3 | 0.3 | 0.0 | 0.5 | -0.4 | 0.0 | -0.8 | 0.0 | -0.5 | -1.1 | 0.0 | 0.0 | -1.6 |
| 2013 | 0.3 | 0.2 | -0.2 | -1.0 | 0.0 | -1.2 | 0.8 | 0.0 | 0.3 | 0.7 | 0.0 | 0.0 | -0.2 |
| 2014 | 0.0 | 0.0 | -0.7 | 0.4 | 0.0 | -1.0 | 0.4 | 0.0 | 0.6 | 0.0 | 0.2 | 0.0 | -0.1 |
| 2015 | 0.0 | 0.0 | 0.1 | 0.6 | 0.1 | 0.6 | 0.0 | -2.7 | -1.2 | 0.0 | 0.8 | 0.0 | -1.7 |
| 2016 | 0.9 | -0.5 | 0.4 | 0.0 | 0.3 | 0.0 | 0.1 | -0.5 | 0.0 | -1.8 | -0.8 | 0.0 | -2.0 |
| 2017 | -1.7 | -0.9 | 0.0 | -0.6 | 0.7 | 0.0 | 0.6 | -0.3 | 0.0 | -0.6 | -0.3 | 0.0 | -3.1 |
| 2018 | -1.6 | 0.0 | 0.0 | -0.3 | -1.5 | 0.0 | -0.6 | 0.0 | -0.3 | -0.4 | 0.0 | 0.0 | -4.7 |
| 2019 | -0.4 | 0.2 | -0.7 | -1.0 | 0.0 | -0.3 | 1.0 | 0.0 | -0.2 | -0.2 | 0.0 | 0.1 | -1.5 |
Row
Rolling Performance Chart
Snail Trail Chart
